hero working papers

Classical Subjective Expected Utility

Number: 400
Year: 2011
Author(s): Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci andLuigi Montrucchio
We consider decision makers that know that payo relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [33]. We incorporate this Waldean piece of objective information within an otherwise subjective setting a la Savage [30] and show that this leads to a two-stages subjective expected utility model that accounts for both state and model uncertainty.